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Bayes Methods for Trending Multiple Time Series with an Empirical Application to the US Economy
16 references·1 citing·39 second hop
Bayes Methods for Trending Multiple Time Series with an Empirical Application to the US Economy (1992)Bayes Methods for Trending Multiple Time …Vector Autoregressions and Causality (1993)Vector Autoregressions and Ca…Vector autoregression and causality (1991)Vector autoregression and cau…Understanding Unit Rooters: A Helicopter Tour (1991)Understanding Unit Rooters: A…To criticize the critics: An objective bayesian analysis of stochastic trends (1991)To criticize the critics: An …Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Inference in Linear Time Series Models with some Unit Roots (1990)Inference in Linear Time Seri…Comparing Information in Forecasts from Econometric Models (1990)Comparing Information in Fore…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Bayesian skepticism on unit root econometrics (1988)Bayesian skepticism on unit r…Forecasting With Bayesian Vector Autoregressions—Five Years of Experience (1986)Forecasting With Bayesian Vec…Improving Economic Forecasting With Bayesian Vector Autoregression (1984)Improving Economic Forecastin…Forecasting and Conditional Projection Using Realistic Prior Distributions (1983)Forecasting and Conditional P…Trends and random walks in macroeconmic time series (1982)Trends and random walks in ma…Macroeconomics and Reality (1980)Macroeconomics and RealityThe Casual Causal Relationship Between Money and Income: Some Caveats for Time Series Analysis (1979)The Casual Causal Relationshi…MONEY, INCOME, AND CAUSALITY (1972)MONEY, INCOME, AND CAUSALITYTwenty-five years of progress, problems, and conflicting evidence in econometric forecasting. What about the next 25 years? (2006)Twenty-five years of progress…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Automatic Lag Selection in Covariance Matrix Estimation (1994)Introductory Econometrics for Finance (2008)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The theory and practice of econometrics (1986)Common stochastic trends in international stock markets (1992)Energy consumption, real income and temporal causality: results from a multi-country study based on cointegration and error-correction modelling techniques (1996)Predictive regressions (1999)Pitfalls in Financial Model-Building (1968)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Time to Build and Aggregate Fluctuations (1982)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Generalized impulse response analysis in linear multivariate models (1998)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Testing for a Unit Root in Time Series Regression (1988)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series (1971)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)Optimal Inference in Cointegrated Systems (1991)Making wald tests work for cointegrated VAR systems (1996)Testing for short- and long-run causality: A frequency-domain approach (2005)Energy consumption, carbon emissions, and economic growth in China (2009)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical inference in vector autoregressions with possibly integrated processes (1995)Forecasting and conditional projection using realistic prior distributions (1984)Bayesian Methods for Dynamic Multivariate Models (1998)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Large Bayesian vector auto regressions (2009)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)
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References

  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1980Macroeconomics and Reality12,826 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1982Trends and random walks in macroeconmic time series4,670 cited
  • 1972MONEY, INCOME, AND CAUSALITY3,013 cited
  • 1990Inference in Linear Time Series Models with some Unit Roots2,561 cited
  • 1986Forecasting With Bayesian Vector Autoregressions—Five Years of Experience1,231 cited
  • 1983Forecasting and Conditional Projection Using Realistic Prior Distributions1,209 cited
  • 1993Vector Autoregressions and Causality867 cited
  • 1988Bayesian skepticism on unit root econometrics527 cited
  • 1991Understanding Unit Rooters: A Helicopter Tour451 cited
  • 1990Comparing Information in Forecasts from Econometric Models427 cited
  • 1991To criticize the critics: An objective bayesian analysis of stochastic trends325 cited
  • 1991Vector autoregression and causality274 cited
  • 1979The Casual Causal Relationship Between Money and Income: Some Caveats for Time Series Analysis250 cited

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1984
Improving Economic Forecasting With Bayesian Vector Autoregression
168 cited

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  • 2006Twenty-five years of progress, problems, and conflicting evidence in econometric forecasting. What about the next 25 years?42 cited